• The Korean Journal of Applied Statistics
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• v.37 no.1
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• pp.39-48
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• 2024

In this paper, we introduce an extended GARCH model designed to address asymmetric leverage effects. The variance in the standard GARCH model is composed of past conditional variances and past squared residuals. However, it is not possible to model asymmetric leverage effects with squared residuals alone, so in this paper, we propose a new extended GARCH model to explain the leverage effects using the Yeo-Johnson transformation which adjusts transformation parameter to make asymmetric data more normal or symmetric. We utilize the reverse properties of Yeo-Johnson transformation to model asymmetric volatility. We investigate the characteristics of the proposed model and parameter estimation. We also explore how to derive forecasts and forecast intervals in the proposed model. We compare it with standard GARCH and other extended GARCH models that model asymmetric leverage effects through empirical data analysis.

• Proceedings of the Korean Society of Precision Engineering Conference
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• 2012.05a
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• pp.925-926
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• 2012

• Proceedings of the Korean Society of Precision Engineering Conference
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• 2013.05a
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• pp.21-22
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• 2013

• The Korean Journal of Applied Statistics
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• v.25 no.1
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• pp.29-43
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• 2012

Financial data such as stock index returns and exchange rates have the properties of heavy tail and asymmetry compared to normal distribution. When we estimate VaR using the GARCH model (with the conditional return distribution of normal) it shows the tendency of the lower estimation and clustering in the losses over the estimated VaR. In this paper, we argue that this problem can be resolved through the adaptation of the unbounded Johnson distribution as that of the condition return. We also compare this model with the GARCH with the conditional return distribution of normal and student-t. Using the losses exceed the ex-ante VaR, estimates, we check the validity of the GARCH models through the failure proportion test and the clustering test. We nd that the GARCH model with conditional return distribution of unbounded Johnson provides an appropriate estimation of the VaR and does not occur the clustering of violations.

• Explosives and Blasting
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• v.38 no.3
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• pp.15-29
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• 2020

In this paper the Hoek-Brown (HB) failure criterion is integrated into the Holmquist-Johnson-Cook (HJC) concrete material model to reflect the inherent characteristics of field rock masses in LS-DYNA blast modeling. This is intended to emphasize the distinctive characteristics of field rock masses that usually have many geological discontinuities. The replacement is made only for the static strength part of the HJC material model by using a statistical curve fitting technique, and its procedure is described in detail. An example is also given to illustrate the use of the obtained HJC material model. Computation is performed for a plane strain model of a single-hole blasting on a field limestone by using the combination of the fluid-structure interaction (FSI) technique and the multi-material arbitrary Lagrangian Eulerian (MMALE) method in LS-DYNA.

• Journal of Aerospace System Engineering
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• v.17 no.5
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• pp.19-27
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• 2023

In this study, we used finite element analysis to conduct a containment capability evaluation of a turbine case. When analyzing the impact behavior of structures subjected to impact loads, it is important to consider the strain rate, as it affects the increase in flow stress. Therefore, we applied three material models (Cowper-Symonds, Johnson-Cook, and Modified Johnson-Cook) for the impact analysis. To validate these material models, we performed an impact test on an aluminum 6061 plate. By comparing and analyzing the experimental and analytical results, we determined that the Modified Johnson-Cook material model exhibited the least error. As a result, we applied this material model to evaluate the containment capability of the turbine case. This evaluation involved determining the occurrence of penetration, as well as the stress and strain induced at the collision area due to the initial velocity of the blade.

• Journal of the Society of Naval Architects of Korea
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• v.49 no.4
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• pp.281-286
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• 2012

Single frame structures with notches were fractured by applying drop impact loadings at room temperature and low temperature. Johnson-Cook shear failure model has been employed to simulate the fractured single frame structures. Through several numerical analyses, material constants for Johnson-Cook shear failure model have been found producing the cracks resulted from experiments. Fracture strain-stress triaxiality curves at both room temperature and low temperature are presented based on the extracted material constants. It is expected that the fracture strain-stress triaxiality curves can offer objective fracture criteria for the assessment of structural fractures of polar class vessel structures fabricated from DH36 steels. The fracture experiments of single frame structures revealed that the structure on low temperature condition fractures at much lower strain than that on room temperature condition despite the same stress states at both temperatures. In conclusion, the material properties on low temperature condition are essential to estimate the fracture characteristics of steel structures operated in the Northern Sea Route.

• Journal of the Korean Society of Manufacturing Process Engineers
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• v.17 no.4
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• pp.64-69
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• 2018

This paper investigates the compressive deformation behavior of direct metal tooling (DMT), processing titanium alloy (Ti-6Al-4V) parts under high strain loading conditions. Split Hopkinson Pressure Bar (SHPB) experiments were performed to determine the flow stress and the coefficients of the Johnson-Cook model. This model is described as a function of strain, strain rate, and temperature. SHPB experiments were performed to characterize the deformation behavior of specimens made with 3D printers, using Ti-6Al-4V material under high temperature and dynamic loading.

• Journal of the Computational Structural Engineering Institute of Korea
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• v.24 no.6
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• pp.609-616
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• 2011

In the study, we analyzed the collision characteristics of a so-called arch-type submarine cable protector by considering the changes in drop heights of a stock anchor and material models for concrete and steel reinforcing bars. We considered plastic kinematics model and Johnson-Holmquist Concrete model for the concrete and linear elastic model and plastic kinematics model for the reinforcing bars. The drop heights of 2-ton stock anchor were selected as 3, 5, and 8.83m, respectively. ANSYS, a finite element analysis program, was used for the collision analysis. To save computational time, we converted those drop heights into initial velocities by the principle of energy conservation. From the sensitivity of the material models on the drop height changes, it is shown that the collision response of the reinforcing bars is sensitive firstly on the steel models and secondly on the concrete models, while the collision response of the concrete is sensitive only on the concrete models.

• Proceedings of the Korean Society of Propulsion Engineers Conference
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• v.y2005m4
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• pp.47-52
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• 2005

We present a simple idea to simulate dynamic fracture and fragmentation of a propulsion system exposed to an extreme condition, such as a fire. The system consists of energetic materials confined in a steel cylinder. The strain failure model of the confinement is a modified Johnson-Cook model with a statistical failure distribution. By using the size distribution data of the fragments from the thermal explosion tests, the failure strain distribution can be empirically obtained and then entered into the model. The simulated fracture and fragment sizes are compared with the experimental records.